Comparing the Potential Accuracy of Burn and Index Modelling for Weather Option Valuation

13 Pages Posted: 16 Jan 2004

Date Written: January 10, 2004

Abstract

We use simulations to compare the potential accuracy of burn and index modelling applied to the calculation of the expected payoff and other diagnostics for weather options.

Keywords: Weather derivatives, weather option pricing, burn, index modelling

JEL Classification: G13

Suggested Citation

Jewson, Stephen, Comparing the Potential Accuracy of Burn and Index Modelling for Weather Option Valuation (January 10, 2004). Available at SSRN: https://ssrn.com/abstract=486342 or http://dx.doi.org/10.2139/ssrn.486342

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

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